This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.
Ticker | Name | Allocation |
---|---|---|
COP | ConocoPhillips | 100.00% |
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Ticker | Name | Allocation |
---|---|---|
XOM | Exxon Mobil Corporation | 100.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
CVX | Chevron Corporation | 100.00% |
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Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
ConocoPhillips | $10,000 | $47,981 | 12.82% | 33.76% | 86.70% | -36.00% | -60.49% | 0.51 | 0.87 | 0.56 |
Exxon Mobil Corporation | $10,000 | $26,674 | 7.84% | 24.69% | 87.36% | -36.21% | -58.35% | 0.40 | 0.65 | 0.60 |
Chevron Corporation | $10,000 | $38,999 | 11.04% | 25.50% | 58.48% | -25.97% | -40.69% | 0.51 | 0.89 | 0.69 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
ConocoPhillips | 16.44% | 71.45% | 71.45% | 27.00% | 20.36% | 11.05% | 12.82% | 54.32% | 44.40% |
Exxon Mobil Corporation | 27.35% | 87.36% | 87.36% | 23.51% | 11.40% | 6.90% | 7.84% | 41.35% | 34.98% |
Chevron Corporation | 25.90% | 58.48% | 58.48% | 19.73% | 12.29% | 9.64% | 11.04% | 40.52% | 33.40% |
Trailing return and volatility are as of last full calendar month ending December 2022 |
Year | Inflation | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation | ConocoPhillips (COP) | Exxon Mobil Corporation (XOM) | Chevron Corporation (CVX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
2010 | 1.50% | 38.80% | $13,880 | 10.14% | $11,014 | 22.95% | $12,295 | 38.80% | 10.14% | 22.95% |
2011 | 2.96% | 10.95% | $15,399 | 18.71% | $13,075 | 20.28% | $14,788 | 10.95% | 18.71% | 20.28% |
2012 | 1.74% | 9.20% | $16,817 | 4.72% | $13,693 | 5.08% | $15,540 | 9.20% | 4.72% | 5.08% |
2013 | 1.50% | 27.05% | $21,366 | 20.14% | $16,450 | 19.32% | $18,542 | 27.05% | 20.14% | 19.32% |
2014 | 0.76% | 1.55% | $21,697 | -6.07% | $15,451 | -6.98% | $17,247 | 1.55% | -6.07% | -6.98% |
2015 | 0.73% | -29.01% | $15,402 | -12.76% | $13,480 | -16.21% | $14,451 | -29.01% | -12.76% | -16.21% |
2016 | 2.07% | 10.17% | $16,968 | 19.90% | $16,163 | 36.64% | $19,747 | 10.17% | 19.90% | 36.64% |
2017 | 2.11% | 11.94% | $18,995 | -3.80% | $15,549 | 10.62% | $21,844 | 11.94% | -3.80% | 10.62% |
2018 | 1.91% | 15.62% | $21,963 | -15.10% | $13,201 | -9.78% | $19,708 | 15.62% | -15.10% | -9.78% |
2019 | 2.29% | 6.64% | $23,421 | 7.25% | $14,159 | 15.28% | $22,719 | 6.64% | 7.25% | 15.28% |
2020 | 1.36% | -36.00% | $14,989 | -36.21% | $9,031 | -25.97% | $16,818 | -36.00% | -36.21% | -25.97% |
2021 | 7.04% | 86.70% | $27,985 | 57.64% | $14,237 | 46.32% | $24,608 | 86.70% | 57.64% | 46.32% |
2022 | 6.45% | 71.45% | $47,981 | 87.36% | $26,674 | 58.48% | $38,999 | 71.45% | 87.36% | 58.48% |
Year | Month | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation | ConocoPhillips (COP) | Exxon Mobil Corporation (XOM) | Chevron Corporation (CVX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
2010 | 1 | -6.01% | $9,399 | -5.51% | $9,449 | -6.33% | $9,367 | -6.01% | -5.51% | -6.33% |
2010 | 2 | 1.02% | $9,495 | 1.54% | $9,594 | 1.21% | $9,481 | 1.02% | 1.54% | 1.21% |
2010 | 3 | 6.60% | $10,122 | 3.05% | $9,887 | 4.88% | $9,944 | 6.60% | 3.05% | 4.88% |
2010 | 4 | 15.67% | $11,709 | 1.18% | $10,003 | 7.40% | $10,679 | 15.67% | 1.18% | 7.40% |
2010 | 5 | -11.44% | $10,369 | -10.18% | $8,985 | -8.46% | $9,776 | -11.44% | -10.18% | -8.46% |
2010 | 6 | -5.34% | $9,816 | -5.61% | $8,481 | -8.14% | $8,981 | -5.34% | -5.61% | -8.14% |
2010 | 7 | 13.62% | $11,153 | 4.57% | $8,869 | 12.30% | $10,086 | 13.62% | 4.57% | 12.30% |
2010 | 8 | -5.05% | $10,589 | -0.23% | $8,849 | -1.89% | $9,895 | -5.05% | -0.23% | -1.89% |
2010 | 9 | 9.54% | $11,599 | 4.53% | $9,250 | 9.41% | $10,826 | 9.54% | 4.53% | 9.41% |
2010 | 10 | 4.36% | $12,104 | 7.61% | $9,953 | 1.91% | $11,033 | 4.36% | 7.61% | 1.91% |
2010 | 11 | 1.31% | $12,263 | 5.27% | $10,478 | -1.12% | $10,910 | 1.31% | 5.27% | -1.12% |
2010 | 12 | 13.18% | $13,880 | 5.12% | $11,014 | 12.70% | $12,295 | 13.18% | 5.12% | 12.70% |
2011 | 1 | 4.93% | $14,565 | 10.34% | $12,153 | 4.03% | $12,791 | 4.93% | 10.34% | 4.03% |
2011 | 2 | 9.92% | $16,010 | 6.57% | $12,952 | 10.10% | $14,083 | 9.92% | 6.57% | 10.10% |
2011 | 3 | 2.56% | $16,419 | -1.64% | $12,740 | 3.60% | $14,590 | 2.56% | -1.64% | 3.60% |
2011 | 4 | -1.21% | $16,219 | 4.58% | $13,323 | 1.81% | $14,855 | -1.21% | 4.58% | 1.81% |
2011 | 5 | -6.34% | $15,190 | -4.58% | $12,713 | -3.39% | $14,351 | -6.34% | -4.58% | -3.39% |
2011 | 6 | 2.69% | $15,599 | -2.50% | $12,395 | -1.97% | $14,068 | 2.69% | -2.50% | -1.97% |
2011 | 7 | -3.42% | $15,065 | -1.95% | $12,152 | 1.15% | $14,229 | -3.42% | -1.95% | 1.15% |
2011 | 8 | -5.45% | $14,245 | -6.59% | $11,352 | -4.22% | $13,628 | -5.45% | -6.59% | -4.22% |
2011 | 9 | -6.98% | $13,251 | -1.88% | $11,138 | -6.32% | $12,767 | -6.98% | -1.88% | -6.32% |
2011 | 10 | 11.08% | $14,719 | 7.52% | $11,976 | 13.46% | $14,485 | 11.08% | 7.52% | 13.46% |
2011 | 11 | 2.40% | $15,072 | 3.62% | $12,409 | -1.34% | $14,291 | 2.40% | 3.62% | -1.34% |
2011 | 12 | 2.17% | $15,399 | 5.37% | $13,075 | 3.48% | $14,788 | 2.17% | 5.37% | 3.48% |
2012 | 1 | -6.39% | $14,415 | -1.20% | $12,918 | -3.08% | $14,333 | -6.39% | -1.20% | -3.08% |
2012 | 2 | 13.24% | $16,324 | 3.86% | $13,417 | 6.63% | $15,284 | 13.24% | 3.86% | 6.63% |
2012 | 3 | -0.71% | $16,209 | 0.27% | $13,453 | -1.75% | $15,016 | -0.71% | 0.27% | -1.75% |
2012 | 4 | -5.76% | $15,275 | -0.45% | $13,392 | -0.61% | $14,925 | -5.76% | -0.45% | -0.61% |
2012 | 5 | -3.25% | $14,779 | -8.30% | $12,280 | -6.91% | $13,893 | -3.25% | -8.30% | -6.91% |
2012 | 6 | 7.13% | $15,833 | 8.83% | $13,364 | 7.31% | $14,909 | 7.13% | 8.83% | 7.31% |
2012 | 7 | -1.44% | $15,606 | 1.50% | $13,564 | 3.87% | $15,486 | -1.44% | 1.50% | 3.87% |
2012 | 8 | 4.32% | $16,279 | 1.17% | $13,722 | 3.17% | $15,977 | 4.32% | 1.17% | 3.17% |
2012 | 9 | 0.69% | $16,391 | 4.75% | $14,375 | 3.92% | $16,604 | 0.69% | 4.75% | 3.92% |
2012 | 10 | 2.35% | $16,776 | -0.31% | $14,331 | -5.42% | $15,704 | 2.35% | -0.31% | -5.42% |
2012 | 11 | -1.57% | $16,512 | -2.70% | $13,944 | -3.29% | $15,188 | -1.57% | -2.70% | -3.29% |
2012 | 12 | 1.84% | $16,817 | -1.80% | $13,693 | 2.32% | $15,540 | 1.84% | -1.80% | 2.32% |
2013 | 1 | 0.02% | $16,820 | 3.95% | $14,234 | 6.48% | $16,547 | 0.02% | 3.95% | 6.48% |
2013 | 2 | 1.05% | $16,997 | 0.18% | $14,259 | 2.53% | $16,966 | 1.05% | 0.18% | 2.53% |
2013 | 3 | 3.71% | $17,627 | 0.63% | $14,348 | 1.43% | $17,208 | 3.71% | 0.63% | 1.43% |
2013 | 4 | 0.58% | $17,730 | -1.24% | $14,169 | 2.68% | $17,670 | 0.58% | -1.24% | 2.68% |
2013 | 5 | 2.54% | $18,180 | 2.37% | $14,505 | 1.42% | $17,921 | 2.54% | 2.37% | 1.42% |
2013 | 6 | -1.37% | $17,931 | -0.13% | $14,486 | -3.59% | $17,277 | -1.37% | -0.13% | -3.59% |
2013 | 7 | 8.34% | $19,427 | 3.76% | $15,031 | 6.38% | $18,380 | 8.34% | 3.76% | 6.38% |
2013 | 8 | 2.22% | $19,858 | -6.38% | $14,071 | -3.54% | $17,729 | 2.22% | -6.38% | -3.54% |
2013 | 9 | 4.84% | $20,820 | -1.28% | $13,890 | 0.89% | $17,886 | 4.84% | -1.28% | 0.89% |
2013 | 10 | 6.52% | $22,177 | 4.16% | $14,468 | -1.27% | $17,660 | 6.52% | 4.16% | -1.27% |
2013 | 11 | -0.72% | $22,017 | 5.02% | $15,195 | 2.92% | $18,175 | -0.72% | 5.02% | 2.92% |
2013 | 12 | -2.95% | $21,366 | 8.26% | $16,450 | 2.02% | $18,542 | -2.95% | 8.26% | 2.02% |
2014 | 1 | -8.07% | $19,643 | -8.93% | $14,980 | -10.63% | $16,571 | -8.07% | -8.93% | -10.63% |
2014 | 2 | 3.48% | $20,326 | 5.19% | $15,758 | 4.24% | $17,273 | 3.48% | 5.19% | 4.24% |
2014 | 3 | 5.79% | $21,503 | 1.46% | $15,989 | 3.10% | $17,809 | 5.79% | 1.46% | 3.10% |
2014 | 4 | 5.63% | $22,713 | 4.84% | $16,763 | 5.56% | $18,799 | 5.63% | 4.84% | 5.56% |
2014 | 5 | 8.52% | $24,648 | -1.17% | $16,567 | -1.33% | $18,549 | 8.52% | -1.17% | -1.33% |
2014 | 6 | 7.24% | $26,434 | 0.15% | $16,592 | 6.32% | $19,721 | 7.24% | 0.15% | 6.32% |
2014 | 7 | -2.94% | $25,657 | -1.73% | $16,305 | -1.00% | $19,523 | -2.94% | -1.73% | -1.00% |
2014 | 8 | -1.55% | $25,259 | 1.23% | $16,505 | 1.01% | $19,721 | -1.55% | 1.23% | 1.01% |
2014 | 9 | -5.79% | $23,797 | -5.44% | $15,607 | -7.83% | $18,178 | -5.79% | -5.44% | -7.83% |
2014 | 10 | -4.75% | $22,668 | 2.83% | $16,049 | 0.53% | $18,274 | -4.75% | 2.83% | 0.53% |
2014 | 11 | -8.43% | $20,757 | -5.71% | $15,132 | -8.40% | $16,738 | -8.43% | -5.71% | -8.40% |
2014 | 12 | 4.53% | $21,697 | 2.11% | $15,451 | 3.04% | $17,247 | 4.53% | 2.11% | 3.04% |
2015 | 1 | -8.80% | $19,787 | -5.44% | $14,611 | -8.60% | $15,764 | -8.80% | -5.44% | -8.60% |
2015 | 2 | 4.64% | $20,704 | 2.04% | $14,909 | 5.05% | $16,560 | 4.64% | 2.04% | 5.05% |
2015 | 3 | -4.51% | $19,770 | -4.00% | $14,313 | -1.59% | $16,296 | -4.51% | -4.00% | -1.59% |
2015 | 4 | 9.09% | $21,568 | 2.79% | $14,712 | 5.79% | $17,240 | 9.09% | 2.79% | 5.79% |
2015 | 5 | -5.19% | $20,449 | -1.66% | $14,468 | -6.34% | $16,147 | -5.19% | -1.66% | -6.34% |
2015 | 6 | -3.56% | $19,720 | -2.35% | $14,128 | -6.34% | $15,123 | -3.56% | -2.35% | -6.34% |
2015 | 7 | -16.90% | $16,387 | -4.80% | $13,451 | -8.28% | $13,871 | -16.90% | -4.80% | -8.28% |
2015 | 8 | -2.36% | $15,999 | -4.12% | $12,897 | -7.29% | $12,860 | -2.36% | -4.12% | -7.29% |
2015 | 9 | -2.42% | $15,612 | -1.18% | $12,744 | -2.61% | $12,525 | -2.42% | -1.18% | -2.61% |
2015 | 10 | 12.73% | $17,599 | 11.28% | $14,182 | 15.21% | $14,430 | 12.73% | 11.28% | 15.21% |
2015 | 11 | 1.31% | $17,830 | -0.43% | $14,122 | 1.66% | $14,670 | 1.31% | -0.43% | 1.66% |
2015 | 12 | -13.62% | $15,402 | -4.54% | $13,480 | -1.49% | $14,451 | -13.62% | -4.54% | -1.49% |
2016 | 1 | -16.30% | $12,892 | -0.13% | $13,463 | -3.88% | $13,891 | -16.30% | -0.13% | -3.88% |
2016 | 2 | -12.76% | $11,247 | 3.89% | $13,987 | -2.29% | $13,573 | -12.76% | 3.89% | -2.29% |
2016 | 3 | 19.04% | $13,388 | 4.29% | $14,587 | 14.33% | $15,518 | 19.04% | 4.29% | 14.33% |
2016 | 4 | 18.67% | $15,889 | 5.75% | $15,427 | 7.11% | $16,621 | 18.67% | 5.75% | 7.11% |
2016 | 5 | -7.84% | $14,643 | 1.55% | $15,666 | -0.11% | $16,604 | -7.84% | 1.55% | -0.11% |
2016 | 6 | -0.43% | $14,579 | 5.30% | $16,497 | 3.79% | $17,234 | -0.43% | 5.30% | 3.79% |
2016 | 7 | -5.81% | $13,733 | -5.11% | $15,654 | -2.24% | $16,847 | -5.81% | -5.11% | -2.24% |
2016 | 8 | 0.56% | $13,810 | -1.18% | $15,469 | -0.83% | $16,708 | 0.56% | -1.18% | -0.83% |
2016 | 9 | 5.90% | $14,624 | 0.16% | $15,493 | 2.33% | $17,097 | 5.90% | 0.16% | 2.33% |
2016 | 10 | 0.55% | $14,704 | -4.54% | $14,790 | 1.78% | $17,401 | 0.55% | -4.54% | 1.78% |
2016 | 11 | 11.67% | $16,420 | 5.70% | $15,633 | 7.56% | $18,717 | 11.67% | 5.70% | 7.56% |
2016 | 12 | 3.34% | $16,968 | 3.39% | $16,163 | 5.50% | $19,747 | 3.34% | 3.39% | 5.50% |
2017 | 1 | -2.75% | $16,501 | -7.06% | $15,023 | -5.40% | $18,681 | -2.75% | -7.06% | -5.40% |
2017 | 2 | -1.92% | $16,184 | -2.17% | $14,696 | 2.00% | $19,055 | -1.92% | -2.17% | 2.00% |
2017 | 3 | 4.83% | $16,966 | 0.85% | $14,821 | -4.56% | $18,187 | 4.83% | 0.85% | -4.56% |
2017 | 4 | -3.93% | $16,299 | -0.44% | $14,756 | -0.62% | $18,073 | -3.93% | -0.44% | -0.62% |
2017 | 5 | -6.20% | $15,289 | -0.48% | $14,685 | -2.02% | $17,708 | -6.20% | -0.48% | -2.02% |
2017 | 6 | -1.63% | $15,039 | 0.29% | $14,727 | 0.82% | $17,854 | -1.63% | 0.29% | 0.82% |
2017 | 7 | 3.84% | $15,617 | -0.85% | $14,601 | 4.66% | $18,686 | 3.84% | -0.85% | 4.66% |
2017 | 8 | -3.77% | $15,028 | -3.71% | $14,060 | -0.44% | $18,603 | -3.77% | -3.71% | -0.44% |
2017 | 9 | 14.64% | $17,227 | 7.40% | $15,101 | 9.18% | $20,311 | 14.64% | 7.40% | 9.18% |
2017 | 10 | 2.75% | $17,700 | 1.67% | $15,353 | -1.37% | $20,033 | 2.75% | 1.67% | -1.37% |
2017 | 11 | -0.53% | $17,607 | 0.86% | $15,484 | 3.64% | $20,762 | -0.53% | 0.86% | 3.64% |
2017 | 12 | 7.88% | $18,995 | 0.42% | $15,549 | 5.21% | $21,844 | 7.88% | 0.42% | 5.21% |
2018 | 1 | 7.14% | $20,351 | 4.38% | $16,230 | 0.13% | $21,872 | 7.14% | 4.38% | 0.13% |
2018 | 2 | -7.15% | $18,897 | -12.36% | $14,224 | -9.83% | $19,723 | -7.15% | -12.36% | -9.83% |
2018 | 3 | 9.17% | $20,630 | -1.49% | $14,012 | 1.89% | $20,097 | 9.17% | -1.49% | 1.89% |
2018 | 4 | 10.47% | $22,790 | 4.21% | $14,601 | 9.71% | $22,048 | 10.47% | 4.21% | 9.71% |
2018 | 5 | 3.31% | $23,544 | 5.54% | $15,411 | 0.21% | $22,094 | 3.31% | 5.54% | 0.21% |
2018 | 6 | 3.31% | $24,323 | 1.83% | $15,693 | 1.71% | $22,473 | 3.31% | 1.83% | 1.71% |
2018 | 7 | 4.08% | $25,317 | -1.47% | $15,462 | -0.13% | $22,444 | 4.08% | -1.47% | -0.13% |
2018 | 8 | 1.75% | $25,759 | -0.63% | $15,365 | -5.29% | $21,257 | 1.75% | -0.63% | -5.29% |
2018 | 9 | 5.41% | $27,152 | 6.05% | $16,294 | 3.22% | $21,942 | 5.41% | 6.05% | 3.22% |
2018 | 10 | -9.32% | $24,622 | -6.28% | $15,271 | -8.69% | $20,035 | -9.32% | -6.28% | -8.69% |
2018 | 11 | -5.32% | $23,312 | 0.79% | $15,391 | 7.55% | $21,547 | -5.32% | 0.79% | 7.55% |
2018 | 12 | -5.79% | $21,963 | -14.23% | $13,201 | -8.53% | $19,708 | -5.79% | -14.23% | -8.53% |
2019 | 1 | 8.56% | $23,844 | 7.46% | $14,187 | 5.39% | $20,770 | 8.56% | 7.46% | 5.39% |
2019 | 2 | 0.70% | $24,010 | 9.04% | $15,469 | 5.35% | $21,881 | 0.70% | 9.04% | 5.35% |
2019 | 3 | -1.64% | $23,617 | 2.24% | $15,816 | 3.01% | $22,540 | -1.64% | 2.24% | 3.01% |
2019 | 4 | -5.42% | $22,336 | -0.64% | $15,714 | -2.53% | $21,969 | -5.42% | -0.64% | -2.53% |
2019 | 5 | -6.13% | $20,967 | -10.84% | $14,010 | -4.24% | $21,038 | -6.13% | -10.84% | -4.24% |
2019 | 6 | 3.46% | $21,692 | 8.28% | $15,170 | 9.30% | $22,995 | 3.46% | 8.28% | 9.30% |
2019 | 7 | -2.66% | $21,116 | -2.96% | $14,721 | -1.07% | $22,749 | -2.66% | -2.96% | -1.07% |
2019 | 8 | -11.68% | $18,650 | -6.76% | $13,726 | -3.40% | $21,977 | -11.68% | -6.76% | -3.40% |
2019 | 9 | 9.20% | $20,365 | 3.11% | $14,153 | 0.75% | $22,141 | 9.20% | 3.11% | 0.75% |
2019 | 10 | -2.38% | $19,881 | -4.31% | $13,544 | -2.07% | $21,682 | -2.38% | -4.31% | -2.07% |
2019 | 11 | 8.59% | $21,588 | 2.07% | $13,824 | 1.85% | $22,082 | 8.59% | 2.07% | 1.85% |
2019 | 12 | 8.49% | $23,421 | 2.42% | $14,159 | 2.89% | $22,719 | 8.49% | 2.42% | 2.89% |
2020 | 1 | -8.61% | $21,404 | -10.98% | $12,604 | -11.09% | $20,199 | -8.61% | -10.98% | -11.09% |
2020 | 2 | -17.94% | $17,563 | -15.99% | $10,589 | -11.86% | $17,803 | -17.94% | -15.99% | -11.86% |
2020 | 3 | -36.39% | $11,172 | -26.19% | $7,816 | -22.37% | $13,821 | -36.39% | -26.19% | -22.37% |
2020 | 4 | 36.69% | $15,271 | 22.39% | $9,566 | 26.97% | $17,548 | 36.69% | 22.39% | 26.97% |
2020 | 5 | 1.17% | $15,449 | -0.22% | $9,544 | 1.06% | $17,734 | 1.17% | -0.22% | 1.06% |
2020 | 6 | -0.38% | $15,390 | -1.65% | $9,387 | -2.69% | $17,257 | -0.38% | -1.65% | -2.69% |
2020 | 7 | -10.08% | $13,839 | -5.90% | $8,833 | -5.93% | $16,234 | -10.08% | -5.90% | -5.93% |
2020 | 8 | 1.34% | $14,024 | -3.21% | $8,549 | 1.46% | $16,471 | 1.34% | -3.21% | 1.46% |
2020 | 9 | -13.33% | $12,155 | -14.05% | $7,348 | -14.21% | $14,129 | -13.33% | -14.05% | -14.21% |
2020 | 10 | -11.74% | $10,728 | -4.98% | $6,982 | -3.47% | $13,639 | -11.74% | -4.98% | -3.47% |
2020 | 11 | 38.23% | $14,828 | 19.65% | $8,354 | 27.30% | $17,362 | 38.23% | 19.65% | 27.30% |
2020 | 12 | 1.09% | $14,989 | 8.10% | $9,031 | -3.13% | $16,818 | 1.09% | 8.10% | -3.13% |
2021 | 1 | 0.10% | $15,004 | 8.78% | $9,824 | 0.89% | $16,968 | 0.10% | 8.78% | 0.89% |
2021 | 2 | 31.13% | $19,675 | 23.34% | $12,117 | 19.00% | $20,191 | 31.13% | 23.34% | 19.00% |
2021 | 3 | 1.85% | $20,038 | 2.69% | $12,443 | 4.79% | $21,158 | 1.85% | 2.69% | 4.79% |
2021 | 4 | -3.45% | $19,346 | 2.53% | $12,757 | -1.64% | $20,811 | -3.45% | 2.53% | -1.64% |
2021 | 5 | 9.86% | $21,253 | 3.45% | $13,197 | 1.97% | $21,221 | 9.86% | 3.45% | 1.97% |
2021 | 6 | 9.26% | $23,221 | 8.07% | $14,262 | 0.92% | $21,415 | 9.26% | 8.07% | 0.92% |
2021 | 7 | -7.23% | $21,542 | -8.73% | $13,016 | -2.80% | $20,816 | -7.23% | -8.73% | -2.80% |
2021 | 8 | -0.95% | $21,338 | -3.86% | $12,514 | -3.63% | $20,060 | -0.95% | -3.86% | -3.63% |
2021 | 9 | 22.04% | $26,041 | 7.89% | $13,501 | 4.84% | $21,030 | 22.04% | 7.89% | 4.84% |
2021 | 10 | 10.60% | $28,800 | 9.61% | $14,797 | 12.85% | $23,733 | 10.60% | 9.61% | 12.85% |
2021 | 11 | -5.85% | $27,115 | -5.91% | $13,923 | -0.27% | $23,669 | -5.85% | -5.91% | -0.27% |
2021 | 12 | 3.21% | $27,985 | 2.26% | $14,237 | 3.97% | $24,608 | 3.21% | 2.26% | 3.97% |
2022 | 1 | 22.78% | $34,358 | 24.14% | $17,674 | 11.91% | $27,540 | 22.78% | 24.14% | 11.91% |
2022 | 2 | 7.57% | $36,959 | 4.39% | $18,449 | 10.81% | $30,516 | 7.57% | 4.39% | 10.81% |
2022 | 3 | 5.73% | $39,077 | 5.32% | $19,430 | 13.08% | $34,506 | 5.73% | 5.32% | 13.08% |
2022 | 4 | -4.48% | $37,326 | 3.22% | $20,056 | -3.78% | $33,201 | -4.48% | 3.22% | -3.78% |
2022 | 5 | 18.14% | $44,098 | 13.76% | $22,816 | 12.42% | $37,326 | 18.14% | 13.76% | 12.42% |
2022 | 6 | -19.46% | $35,516 | -10.79% | $20,353 | -17.11% | $30,940 | -19.46% | -10.79% | -17.11% |
2022 | 7 | 8.48% | $38,529 | 13.18% | $23,037 | 13.12% | $35,001 | 8.48% | 13.18% | 13.12% |
2022 | 8 | 12.85% | $43,480 | -0.45% | $22,933 | -2.63% | $34,080 | 12.85% | -0.45% | -2.63% |
2022 | 9 | -5.23% | $41,208 | -8.66% | $20,946 | -9.10% | $30,977 | -5.23% | -8.66% | -9.10% |
2022 | 10 | 23.21% | $50,771 | 26.92% | $26,584 | 25.91% | $39,005 | 23.21% | 26.92% | 25.91% |
2022 | 11 | -1.67% | $49,923 | 1.28% | $26,926 | 2.11% | $39,829 | -1.67% | 1.28% | 2.11% |
2022 | 12 | -3.89% | $47,981 | -0.93% | $26,674 | -2.08% | $38,999 | -3.89% | -0.93% | -2.08% |
Ticker | Name | Category | Weight | TTM Yield | Contribution | |
---|---|---|---|---|---|---|
Return | Risk | |||||
COP | ConocoPhillips | Energy / Oil & Gas E&P | 100.00% | 5.43% | $37,981 | 100.00% |
Ticker | Name | Category | Weight | TTM Yield | Contribution | |
---|---|---|---|---|---|---|
Return | Risk | |||||
XOM | Exxon Mobil Corporation | Energy / Oil & Gas Integrated | 100.00% | 3.53% | $16,674 | 100.00% |
Ticker | Name | Category | Weight | TTM Yield | Contribution | |
---|---|---|---|---|---|---|
Return | Risk | |||||
CVX | Chevron Corporation | Energy / Oil & Gas Integrated | 100.00% | 3.89% | $28,999 | 100.00% |
Metric | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation |
---|---|---|---|
Arithmetic Mean (monthly) | 1.47% | 0.88% | 1.14% |
Arithmetic Mean (annualized) | 19.17% | 11.08% | 14.54% |
Geometric Mean (monthly) | 1.01% | 0.63% | 0.88% |
Geometric Mean (annualized) | 12.82% | 7.84% | 11.04% |
Standard Deviation (monthly) | 9.74% | 7.13% | 7.36% |
Standard Deviation (annualized) | 33.76% | 24.69% | 25.50% |
Downside Deviation (monthly) | 5.65% | 4.38% | 4.22% |
Maximum Drawdown | -60.49% | -58.35% | -40.69% |
Stock Market Correlation | 0.56 | 0.60 | 0.69 |
Beta(*) | 1.24 | 0.97 | 1.14 |
Alpha (annualized) | 2.36% | -1.46% | -0.44% |
R2 | 31.59% | 36.41% | 46.98% |
Sharpe Ratio | 0.51 | 0.40 | 0.51 |
Sortino Ratio | 0.87 | 0.65 | 0.89 |
Treynor Ratio (%) | 13.78 | 10.23 | 11.44 |
Calmar Ratio | 0.50 | 0.46 | 0.49 |
Active Return | 1.04% | -3.94% | -0.74% |
Tracking Error | 28.16% | 19.69% | 18.69% |
Information Ratio | 0.04 | -0.20 | -0.04 |
Skewness | 0.50 | 0.39 | 0.60 |
Excess Kurtosis | 3.07 | 3.07 | 2.26 |
Historical Value-at-Risk (5%) | 11.99% | 10.33% | 8.80% |
Analytical Value-at-Risk (5%) | 14.56% | 10.84% | 10.97% |
Conditional Value-at-Risk (5%) | 18.34% | 14.43% | 13.28% |
Upside Capture Ratio (%) | 114.18 | 82.73 | 101.30 |
Downside Capture Ratio (%) | 113.74 | 96.77 | 105.73 |
Safe Withdrawal Rate | 13.14% | 9.46% | 12.53% |
Perpetual Withdrawal Rate | 9.17% | 4.97% | 7.71% |
Positive Periods | 86 out of 156 (55.13%) | 85 out of 156 (54.49%) | 86 out of 156 (55.13%) |
Gain/Loss Ratio | 1.24 | 1.19 | 1.25 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation |
---|---|---|---|---|---|
COVID-19 Start | Jan 2020 | Mar 2020 | -52.30% | -44.80% | -39.17% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Oct 2018 | Oct 2020 | 2 years 1 month | Oct 2021 | 1 year | 3 years 1 month | -60.49% |
2 | Jul 2014 | Feb 2016 | 1 year 8 months | Sep 2018 | 2 years 7 months | 4 years 3 months | -57.45% |
3 | Jun 2022 | Jun 2022 | 1 month | Oct 2022 | 4 months | 5 months | -19.46% |
4 | Apr 2011 | Sep 2011 | 6 months | Oct 2012 | 1 year 1 month | 1 year 7 months | -19.29% |
5 | May 2010 | Jun 2010 | 2 months | Oct 2010 | 4 months | 6 months | -16.17% |
6 | Nov 2013 | Jan 2014 | 3 months | Apr 2014 | 3 months | 6 months | -11.43% |
7 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -6.01% |
8 | Nov 2021 | Nov 2021 | 1 month | Jan 2022 | 2 months | 3 months | -5.85% |
9 | Nov 2022 | Dec 2022 | 2 months | -5.50% | |||
10 | Apr 2022 | Apr 2022 | 1 month | May 2022 | 1 month | 2 months | -4.48% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | May 2014 | Oct 2020 | 6 years 6 months | Jan 2022 | 1 year 3 months | 7 years 9 months | -58.35% |
2 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -16.40% |
3 | May 2010 | Jun 2010 | 2 months | Nov 2010 | 5 months | 7 months | -15.21% |
4 | Jun 2022 | Jun 2022 | 1 month | Jul 2022 | 1 month | 2 months | -10.79% |
5 | Aug 2022 | Sep 2022 | 2 months | Oct 2022 | 1 month | 3 months | -9.07% |
6 | Jan 2014 | Jan 2014 | 1 month | Apr 2014 | 3 months | 4 months | -8.93% |
7 | Apr 2012 | May 2012 | 2 months | Jul 2012 | 2 months | 4 months | -8.72% |
8 | Aug 2013 | Sep 2013 | 2 months | Nov 2013 | 2 months | 4 months | -7.59% |
9 | Jan 2010 | Jan 2010 | 1 month | Apr 2010 | 3 months | 4 months | -5.51% |
10 | Oct 2012 | Dec 2012 | 3 months | May 2013 | 5 months | 8 months | -4.75% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jul 2019 | Oct 2020 | 1 year 4 months | Oct 2021 | 1 year | 2 years 4 months | -40.69% |
2 | Jul 2014 | Sep 2015 | 1 year 3 months | Dec 2016 | 1 year 3 months | 2 years 6 months | -36.49% |
3 | Jun 2022 | Jun 2022 | 1 month | Oct 2022 | 4 months | 5 months | -17.11% |
4 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -15.90% |
5 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -14.06% |
6 | Jul 2018 | Dec 2018 | 6 months | Mar 2019 | 3 months | 9 months | -12.30% |
7 | Jan 2014 | Jan 2014 | 1 month | Apr 2014 | 3 months | 4 months | -10.63% |
8 | Jan 2017 | May 2017 | 5 months | Sep 2017 | 4 months | 9 months | -10.32% |
9 | Feb 2018 | Feb 2018 | 1 month | Apr 2018 | 2 months | 3 months | -9.83% |
10 | Mar 2012 | May 2012 | 3 months | Jul 2012 | 2 months | 5 months | -9.10% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
COP | ConocoPhillips | 12.82% | 33.76% | 86.70% | -36.00% | -60.49% | 0.51 | 0.87 | 0.56 |
XOM | Exxon Mobil Corporation | 7.84% | 24.69% | 87.36% | -36.21% | -58.35% | 0.40 | 0.65 | 0.60 |
CVX | Chevron Corporation | 11.04% | 25.50% | 58.48% | -25.97% | -40.69% | 0.51 | 0.89 | 0.69 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
ConocoPhillips | 16.44% | 71.45% | 71.45% | 27.00% | 20.36% | 11.05% |
Exxon Mobil Corporation | 27.35% | 87.36% | 87.36% | 23.51% | 11.40% | 6.90% |
Chevron Corporation | 25.90% | 58.48% | 58.48% | 19.73% | 12.29% | 9.64% |
Trailing returns as of last calendar month ending December 2022 |
Ticker | Name | COP | XOM | CVX | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation |
---|---|---|---|---|---|---|---|
COP | ConocoPhillips | 1.00 | 0.80 | 0.85 | 1.00 | 0.80 | 0.85 |
XOM | Exxon Mobil Corporation | 0.80 | 1.00 | 0.86 | 0.80 | 1.00 | 0.86 |
CVX | Chevron Corporation | 0.85 | 0.86 | 1.00 | 0.85 | 0.86 | 1.00 |
Ticker | Name | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation |
---|---|---|---|---|
COP | ConocoPhillips | $37,981 | ||
XOM | Exxon Mobil Corporation | $16,674 | ||
CVX | Chevron Corporation | $28,999 | ||
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation |
---|---|---|---|---|
COP | ConocoPhillips | 100.00% | ||
XOM | Exxon Mobil Corporation | 100.00% | ||
CVX | Chevron Corporation | 100.00% | ||
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | ConocoPhillips | Exxon Mobil Corporation | Chevron Corporation | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 17.99% | 168.47% | -52.70% | 10.97% | 111.93% | -50.58% | 13.35% | 75.89% | -38.68% |
3 years | 6.41% | 36.69% | -17.14% | 2.10% | 25.21% | -23.10% | 6.25% | 24.37% | -12.03% |
5 years | 4.92% | 23.67% | -10.79% | 1.26% | 11.70% | -13.21% | 5.44% | 16.08% | -3.24% |
7 years | 4.22% | 17.62% | -9.85% | 1.34% | 10.24% | -9.89% | 5.84% | 15.34% | -3.62% |
10 years | 5.69% | 11.71% | -1.20% | 1.67% | 6.90% | -3.48% | 5.91% | 10.39% | 2.14% |